Valuation of with-profit life insurance contracts with embedded default options under stochastic volatility and double exponential jumps
碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 102 === In this paper, we use Monte Carlo simulation approach with stochastic volatility and the double exponential jump diffusion process （SVCJ） model to simulate the assets of the insurance companies and the use of Andersen （2000） proposed a method to calculate th...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/48129691660680259925 |